driver2.f90

This driver shows how to replace the default stopping test by other termination criteria. It also illustrates how to print the values of several parameters during the course of the iteration. The sample problem used here is the same as in DRIVER1 (the extended Rosenbrock function with bounds on the variables). (Fortran-90 version)

!> \file driver2.f90
 
!                                                                                      
!  L-BFGS-B is released under the "New BSD License" (aka "Modified BSD License"        
!  or "3-clause license")                                                              
!  Please read attached file License.txt                                               
!                                        
!
!                  DRIVER 2  in Fortran 90
!    --------------------------------------------------------------
!             CUSTOMIZED DRIVER FOR L-BFGS-B
!    --------------------------------------------------------------
!
!       L-BFGS-B is a code for solving large nonlinear optimization
!            problems with simple bounds on the variables.
!
!       The code can also be used for unconstrained problems and is
!       as efficient for these problems as the earlier limited memory
!                         code L-BFGS.
!
!       This driver illustrates how to control the termination of the
!       run and how to design customized output.
!
!    References:
!
!       [1] R. H. Byrd, P. Lu, J. Nocedal and C. Zhu, ``A limited
!       memory algorithm for bound constrained optimization'',
!       SIAM J. Scientific Computing 16 (1995), no. 5, pp. 1190--1208.
!
!       [2] C. Zhu, R.H. Byrd, P. Lu, J. Nocedal, ``L-BFGS-B: FORTRAN
!       Subroutines for Large Scale Bound Constrained Optimization''
!       Tech. Report, NAM-11, EECS Department, Northwestern University,
!       1994.
!
!
!         (Postscript files of these papers are available via anonymous
!          ftp to eecs.nwu.edu in the directory pub/lbfgs/lbfgs_bcm.)
!
!                             *  *  *
!
!         February 2011   (latest revision)
!         Optimization Center at Northwestern University
!         Instituto Tecnologico Autonomo de Mexico
!
!         Jorge Nocedal and Jose Luis Morales
!
!    **************
      program driver
      use json_writer, only: json_write_aggregate
 
!     This driver shows how to replace the default stopping test
!     by other termination criteria. It also illustrates how to
!     print the values of several parameters during the course of
!     the iteration. The sample problem used here is the same as in
!     DRIVER1 (the extended Rosenbrock function with bounds on the
!     variables).
 
      implicit none
 
!     Declare variables and parameters needed by the code.
!
!     Note that we suppress the default output (iprint = -1)
!     We suppress both code-supplied stopping tests because the
!     user is providing his/her own stopping criteria.
 
      integer,  parameter    :: n = 25, m = 5, iprint = -1
      integer,  parameter    :: dp = kind(1.0d0)
      real(dp), parameter    :: factr  = 0.0d0, pgtol  = 0.0d0
 
      character(len=60)      :: task, csave
      logical                :: lsave(4)
      integer                :: isave(44)
      real(dp)               :: f
      real(dp)               :: dsave(29)
      integer,  allocatable  :: nbd(:), iwa(:)
      real(dp), allocatable  :: x(:), l(:), u(:), g(:), wa(:)
!
      real(dp)               :: t1, t2
      integer                :: i
 
!     Test instrumentation: dump aggregate end-of-run state to JSON when
!     the environment variable LBFGSB_JSON_OUTPUT is set. No-op otherwise.
!     LBFGSB_NFG_LIMIT optionally overrides the nfg stopping threshold.
      character(len=512)     :: lbfgsb_json
      character(len=64)      :: env_nfg_limit
      logical                :: json_active
      integer                :: nfg_limit
 
      allocate ( nbd(n), x(n), l(n), u(n), g(n) )
      allocate ( iwa(3*n) )
      allocate ( wa(2*m*n + 5*n + 11*m*m + 8*m) )
!
!    This driver shows how to replace the default stopping test
!    by other termination criteria. It also illustrates how to
!    print the values of several parameters during the course of
!    the iteration. The sample problem used here is the same as in 
!    DRIVER1 (the extended Rosenbrock function with bounds on the 
!    variables).
!    We now specify nbd which defines the bounds on the variables:
!                   l   specifies the lower bounds,
!                   u   specifies the upper bounds. 
 
!    First set bounds on the odd numbered variables.
 
      do 10 i=1, n,2
         nbd(i)=2
         l(i)=1.0d0
         u(i)=1.0d2
  10  continue
 
!    Next set bounds on the even numbered variables.
 
      do 12 i=2, n,2
         nbd(i)=2
         l(i)=-1.0d2
         u(i)=1.0d2
  12   continue
 
!     We now define the starting point.
 
      do 14 i=1, n
         x(i)=3.0d0
  14  continue
 
!     We now write the heading of the output.
 
      write (6,16)
  16  format(/,5x, 'Solving sample problem.', &
             /,5x, ' (f = 0.0 at the optimal solution.)',/)               
               
 
!     We start the iteration by initializing task.
!
      task = 'START'
 
!     Test instrumentation: enabled when LBFGSB_JSON_OUTPUT is set.
      call get_environment_variable('LBFGSB_JSON_OUTPUT', lbfgsb_json)
      json_active = (len_trim(lbfgsb_json) > 0)
      nfg_limit = 99
      call get_environment_variable('LBFGSB_NFG_LIMIT', env_nfg_limit)
      if (len_trim(env_nfg_limit) > 0) read(env_nfg_limit, *) nfg_limit
 
!        ------- the beginning of the loop ----------
 
      do while( task(1:2).eq.'FG'.or.task.eq.'NEW_X'.or. &
                task.eq.'START')
 
!     This is the call to the L-BFGS-B code.
 
         call setulb(n,m,x,l,u,nbd,f,g,factr,pgtol,wa,iwa,task,iprint, &
                     csave,lsave,isave,dsave)
 
         if (task(1:2) .eq. 'FG') then
 
!        the minimization routine has returned to request the
!        function f and gradient g values at the current x.
 
!        Compute function value f for the sample problem.
 
            f =.25d0*(x(1) - 1.d0)**2
            do 20 i=2,n
               f = f + (x(i) - x(i-1)**2)**2
  20        continue
            f = 4.d0*f
 
!        Compute gradient g for the sample problem.
 
            t1 = x(2) - x(1)**2
            g(1) = 2.d0*(x(1) - 1.d0) - 1.6d1*x(1)*t1
            do 22 i= 2,n-1
               t2 = t1
               t1 = x(i+1) - x(i)**2
               g(i) = 8.d0*t2 - 1.6d1*x(i)*t1
  22        continue
            g(n)=8.d0*t1
!
      else
!
         if (task(1:5) .eq. 'NEW_X') then   
!    
!       the minimization routine has returned with a new iterate.
!       At this point have the opportunity of stopping the iteration 
!       or observing the values of certain parameters
!
!       First are two examples of stopping tests.
 
!       Note: task(1:4) must be assigned the value 'STOP' to terminate  
!         the iteration and ensure that the final results are
!         printed in the default format. The rest of the character
!         string TASK may be used to store other information.
 
!       1) Terminate if the total number of f and g evaluations
!            exceeds 99.
 
             if (isave(34) .ge. nfg_limit) &
                task='STOP: TOTAL NO. of f AND g EVALUATIONS EXCEEDS LIMIT'
 
!       2) Terminate if  |proj g|/(1+|f|) < 1.0d-10, where 
!          "proj g" denoted the projected gradient
 
             if (dsave(13) .le. 1.d-10*(1.0d0 + abs(f))) &
               task='STOP: THE PROJECTED GRADIENT IS SUFFICIENTLY SMALL'
 
!       We now wish to print the following information at each
!       iteration:
!       
!         1) the current iteration number, isave(30),
!         2) the total number of f and g evaluations, isave(34),
!         3) the value of the objective function f,
!         4) the norm of the projected gradient,  dsve(13)
!
!       See the comments at the end of driver1 for a description
!       of the variables isave and dsave.
         
            write (6,'(2(a,i5,4x),a,1p,d12.5,4x,a,1p,d12.5)') 'Iterate' &
               , isave(30),'nfg =',isave(34),'f =',f,'|proj g| =',dsave(13)
 
!        If the run is to be terminated, we print also the information
!        contained in task as well as the final value of x.
 
            if (task(1:4) .eq. 'STOP') then
               write (6,*) task  
               write (6,*) 'Final X='
               write (6,'((1x,1p, 6(1x,d11.4)))') (x(i),i = 1,n)
            end if
 
        end if
      end if
 
      end do
!           ---------- the end of the loop -------------
 
!     If task is neither FG nor NEW_X we terminate execution.
 
      if (json_active) &
         call json_write_aggregate(trim(lbfgsb_json), task, f, dsave(13), n, x)
 
      end program driver
 
!======================= The end of driver2 ============================